My grandfather came to the US when he was a baby (5 months old/March 1909). He never became a naturalized citizen. I got a letter from the National Archives and Records Administration that states that they have not found an index for him. Based on the info I provided to them, they checked NJ court from Camden District 1932 - 1981, Newark District 1914 - 1982, and Trenton District 1931-1988.

Do I need any other documents? What else should I ask for to prove he never became a citizen?

Don't know if it matters...but I do have the Verification of Naturalization Records for my GGF who was naturalized in June 1926 (when my GF was 17).

"Don't know if it matters...but I do have the Verification of Naturalization Records for my GGF who was naturalized in June 1926 (when my GF was 17)."

Unfortunately, it does matter and the consulate knows that it matters.

Under US law at that time (and still now), when your great-grandfather naturalized, all of his minor children who were not born in the US automatically naturalized with him. Your grandfather is no doubt listed on your great-grandfather's documents, but even if he isn't, the consulate is unlikely to let you off easily on this point.

Knowing that your grandfather was born in Italy and knowing US law, they are not going to be satisfied by the "no records found" in your grandfather's name. They will want to see either that your great-grandfather did not naturalize or that he did so after your grandfather was no longer a minor (I forget if that is 18 or 21 for this purpose).

Let me add, are you certain that your great-grandfather's actual naturalization took place in June, 1926?

Please keep in mind, the only date which matters is the date on which the "Oath of Allegiance" was signed and the certificate issued. There was often a lapse of several years between when the process was begun (the date on the Declaration of Intent) vs. when the process was completed, and it is that last date which matters, not the first.